ProShares Ultra Dow30 (DDM)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• The total return over 5 years of ProShares Ultra Dow30 is 62.8%, which is lower, thus worse compared to the benchmark SPY (80%) in the same period.
• Compared with SPY (31.8%) in the period of the last 3 years, the total return of 38% is higher, thus better.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the annual return (CAGR) of 10.3% in the last 5 years of ProShares Ultra Dow30, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12.5%)
• Looking at annual return (CAGR) in of 11.3% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (9.7%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the historical 30 days volatility of 41.7% in the last 5 years of ProShares Ultra Dow30, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21.3%)
• Compared with SPY (17.6%) in the period of the last 3 years, the 30 days standard deviation of 29.8% is larger, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside volatility of 30% in the last 5 years of ProShares Ultra Dow30, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.3%)
• Looking at downside volatility in of 21% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.3%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of ProShares Ultra Dow30 is 0.19, which is smaller, thus worse compared to the benchmark SPY (0.47) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.3 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.41).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the excess return divided by the downside deviation of 0.26 in the last 5 years of ProShares Ultra Dow30, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.66)
• Compared with SPY (0.58) in the period of the last 3 years, the excess return divided by the downside deviation of 0.42 is smaller, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (9.43 ) in the period of the last 5 years, the Ulcer Index of 18 of ProShares Ultra Dow30 is larger, thus worse.
• Looking at Downside risk index in of 17 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum drop from peak to valley over 5 years of ProShares Ultra Dow30 is -63.1 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -40.2 days is lower, thus worse.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

• The maximum time in days below previous high water mark over 5 years of ProShares Ultra Dow30 is 479 days, which is lower, thus better compared to the benchmark SPY (480 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 479 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (480 days).

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 132 days of ProShares Ultra Dow30 is higher, thus worse.
• Looking at average days below previous high in of 169 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (174 days).